Gas storage valuation and hedging. A quantification of the model risk.
type: Dataset
description: This paper focuses on the valuation and hedging of gas storage facilities, using a spot-based valuation framework coupled with a financial hedging strategy implemented with futures contracts. The first novelty consist in proposing a model that unifies the dynamics of the futures curve and the spot price, which accounts for the main stylized facts of the US natural gas market, such as seasonality and presence of price spikes. The second aspect of the paper is related to the quantification of model uncertainty related to the spot dynamics.
issued: 2026-05-07T19:59:58.384432
language: en
modified: 2026-05-07T19:59:58.384437
contact point: Organization
  fn: CCSD
keyword: 91g10-91g60-91g70-91g80-c4-c5-c6-c8-g11-g13-g17
keyword: commodities
keyword: energy-markets
keyword: infoeu-reposemanticsarticle
keyword: journal-articles
keyword: mathmath-prmathematics-mathprobability-mathpr
keyword: model-uncertainty
keyword: natural-gas-storage
landing page: 2227-7072

Gas storage valuation and hedging. A quantification of the model risk.
type: Distribution
format: HTML
issued: 2026-05-07T19:59:58.391845
modified: 2026-05-07T19:59:58.374559
access URL: https://inria.hal.science/hal-00918082

test_moissonnage_selune
type: Agent